Air pollution, behavioral bias, and the disposition effect in China

• 成果类型: Article
• 署名作者: Li, Jennifer (Jie); Massa, Massimo; Zhang, Hong; Zhang, Jian
• 署名单位: Shanghai Jiao Tong University; INSEAD Business School; Tsinghua University; University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.09.003
• 发表日期: 2021
• 页码: 641-673
• 关键词: Air pollution; The disposition effect; Mutual funds

摘要

Inspired by the recent health science findings that air pollution affects mental health and cognition, we examine whether air pollution can intensify the cognitive bias observed in the financial markets. Based on a proprietary data set obtained from a large Chinese mutual fund family consisting of complete trading information for more than 773,198 ac-counts in 247 cities, we find that air pollution significantly increases investors' disposition effects. Analysis based on two plausible exogenous variations in air quality (the vast dissi-pation of air pollution caused by strong winds and the Huai River policy) supports a causal interpretation. Mood regulation provides a potential mechanism. (c) 2019 Elsevier B.V. All rights reserved.